# Difference between revisions of "Multi-ITN STRIKE - Novel Methods in Computational Finance"

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− | {| | + | ==Introduction== |

− | + | ||

− | + | <CENTER> | |

+ | {| cellpadding="5" cellspacing="0" border="1" bgcolor="#c0c0c0" | ||

+ | |- | ||

+ | ! STRIKE is a Marie Curie International Training Network (ITN, 01/2013 - 12/2016)<BR><BR> | ||

+ | Acknowledgement:<BR><BR> | ||

+ | <I>This ITN Research Project STRIKE is supported by the<BR> | ||

+ | European Union in the FP7-PEOPLE-2012-ITN Program under<BR> | ||

+ | Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE - Novel Methods in Computational Finance)</I>.<BR> | ||

+ | Short reference for contract: PITN-GA-2012-304617 STRIKE. | ||

|} | |} | ||

− | ==Project Background== | + | </CENTER> |

+ | <BR><BR><BR> | ||

+ | |||

+ | ==Project Background== | ||

In recent years the computational complexity of mathematical models employed in financial mathematics | In recent years the computational complexity of mathematical models employed in financial mathematics | ||

Line 32: | Line 43: | ||

financial products. This aim will be accomplished by means of financial modelling, mathematical | financial products. This aim will be accomplished by means of financial modelling, mathematical | ||

analysis and numerical simulations, optimal control techniques and validation of models. | analysis and numerical simulations, optimal control techniques and validation of models. | ||

+ | <BR><BR> | ||

+ | |||

+ | ==Follow Up Events== | ||

+ | * [http://cemapre.iseg.ulisboa.pt/iccf2017/ ICCF-2017, 2nd International Conference on Computational Finance] will take place in Lisbon, Portugal, September 4-8, 2017. | ||

+ | * [http://www.lorentzcenter.nl/lc/web/2017/907/info.php3?wsid=907&venue=Oort Workshop Applied Mathematics Techniques for Energy Markets in Transition] will take place at the Lorentz Center in Leidenn, the Netherlands, on September 18-22, 2017. | ||

+ | <BR><BR> | ||

+ | |||

+ | ==Public Reports== | ||

+ | |||

+ | Deliverable D6.5 is the Public Report on the ITN-STRIKE Project Results: [[Media:ITN_STRIKE_D6.5.pdf | <B>Public Report</B>]] (pdf, 170207). | ||

+ | <BR><BR> | ||

+ | An overview of all Publications and Presentations was compiled within Deliverable D6.3.2 on Publication and Exploitation: [[Media:170308_STRIKE_Publications_and_Presentations.pdf | <B>Publications and Presentations</B>]] (pdf, 160731). | ||

+ | <BR><BR> | ||

+ | Further details on publications are found on the Publications page. | ||

+ | <BR><BR> | ||

+ | An <B>Online</B> general overview is given in<BR> | ||

+ | * Z. Bucková, J.P. Campos Moreira da Silva, M. Ehrhardt, M. Günther, E.J.W. ter Maten: <I>STRIKE - Novel Methods in Computational Finance - A European mathematical research training network</I>. [http://www.imacm.uni-wuppertal.de/fileadmin/imacm/preprints/2014/imacm_14_01.pdf IMACM-Report 2014-01, Bergische Universität Wuppertal, 2014]. <B>Online:</B> [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=310 ECMI Newsletter 55, pp. 9-12, 2014] ([http://www.ecmi-indmath.org/ ECMI=European Consortium for Mathematics in Industry]). | ||

+ | <BR><BR> | ||

+ | Each STRIKE Fellow did publish with his/her supervisor(s) an <B>"A4 report/flyer"</B> in the [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewiss&ID=56 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-91]:<BR> | ||

+ | * Z. Bučková (ESR1), M. Ehrhardt: <I>Splitting Methods on Special Meshes</I>,[http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=354 <B>Online</B> ECMI Newsletter 56, 2014, pp. 71-72].<BR> | ||

+ | * J.P. Silva (ESR2), E.J.W. ter Maten, M. Günther: <I>POD in Option Pricing: Basket Options and Heston Model</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=355 <B>Online</B> ECMI Newsletter 56, 2014, pp. 73-74].<BR> | ||

+ | * P. Pólvora (ESR3), D. Ševčovič, M. Guerra: <I>Pricing Derivatives in Markets with Transaction Costs</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=356 <B>Online</B> ECMI Newsletter 56, 2014, pp. 74-75].<BR> | ||

+ | * V. Egorova (ESR4), L. Jódar Sánchez, R. Company Rossi: <I>FDMs and Transformation Methods for nonlinear BS equations</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=357 <B>Online</B> ECMI Newsletter 56, 2014, pp. 76-77].<BR> | ||

+ | * W. Mudzimbabwe (ESR5), L. Vulkov: <I>Fitted Operator Methods and Special Meshes in Computational Finance</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=358 <B>Online</B> ECMI Newsletter 56, 2014, pp. 77-78].<BR> | ||

+ | * N. Cantarutti (ESR6), M. do Rosário Grossinho, M. Guerra, J. Guerra: <I>Option Pricing in Exponential Lévy Models with Transaction Costs</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=359 <B>Online</B> ECMI Newsletter 56, 2014, pp. 79-80].<BR> | ||

+ | * I.P. Yamshchikov (ESR7), L.A. Bordag: <I>Portfolio Optimization for an Illiquidity Asset with a Random Liquidation Time</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=360 <B>Online</B> ECMI Newsletter 56, 2014, pp. 80-81].<BR> | ||

+ | * L. Trussardi (ESR8), A. Jüngel: <I>Herding Behaviour in Financial Markets</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=361 <B>Online</B> ECMI Newsletter 56, 2014, pp. 82-83].<BR> | ||

+ | * A. Leitao (ESR9), C.W. Oosterlee: <I>GPU Acceleration of the Stochastic Grid Bundling Method</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=362 <B>Online</B> ECMI Newsletter 56, 2014, pp. 84-85].<BR> | ||

+ | * S.-H. Tan (ESR10), C.-H. Lai: <I>Newton-like Method for Nonlinear Option Pricing</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=363 <B>Online</B> ECMI Newsletter 56, 2014, pp. 85-86].<BR> | ||

+ | * B. Gaviraghi (ESR11), A. Borzì: <I>An Operator Splitting Method for Solving a Class of Partial-Integro Fokker-Planck Equations</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=364 <B>Online</B> ECMI Newsletter 56, 2014, pp. 87-88].<BR> | ||

+ | * R. Valkov (ESR12), K. in ’t Hout: <I>ADI time-stepping for the uncertain correlation Black–Scholes PDE</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=365 <B>Online</B> ECMI Newsletter 56, 2014, pp. 88-89].<BR> | ||

+ | * M. Pou Bueno (ER4), C.W. Oosterlee: <I>Pricing and Hedging by Backward Stochastic Differential Equations</I>, [http://www.mafy.lut.fi/EcmiNL/issues.php?action=viewart&ID=366 <B>Online</B> ECMI Newsletter 56, 2014, pp. 90-91]. | ||

+ | <BR><BR> | ||

==Work Packages - Project Structure== | ==Work Packages - Project Structure== | ||

Line 46: | Line 90: | ||

==See also (public pages)== | ==See also (public pages)== | ||

* [[Consortium]] | * [[Consortium]] | ||

+ | * [[Fellows]] | ||

* [[Open Positions]] | * [[Open Positions]] | ||

* [[STRIKE Network Events and other related Events|Events]] | * [[STRIKE Network Events and other related Events|Events]] | ||

* [[Publications]] | * [[Publications]] | ||

+ | * [[Alumni]] | ||

* [[Useful Links]] | * [[Useful Links]] |

## Latest revision as of 10:15, 8 March 2017

## Contents

## Introduction

STRIKE is a Marie Curie International Training Network (ITN, 01/2013 - 12/2016) Acknowledgement: Short reference for contract: PITN-GA-2012-304617 STRIKE. |
---|

## Project Background

In recent years the computational complexity of mathematical models employed in financial mathematics
has witnessed a tremendous growth. **Advanced numerical techniques** are imperative for the
most present-day applications in financial industry.

The motivation for this training network is the need for a network of highly educated European scientists
in the field of financial mathematics and computational science, so as to exchange and discuss
current insights and ideas, and to lay groundwork for future collaborations.

Besides a series of internationally recognized researchers from academics, leading quantitative analysts
from the financial industry also participate in this network. The challenge lies in the necessity of
**combining transferable techniques and skills** such as mathematical analysis, sophisticated numerical
methods and stochastic simulation methods with deep qualitative and quantitative understanding
of mathematical models arising from financial markets.

The main training objective is to prepare, at the highest possible level, young researchers with a broad
scope of scientific knowledge and to teach **transferable skills, like social awareness** which is very
important in view of the recent financial crises.

The current topic in this network is that the **financial crisis in the European countries**
is a **contagion and herding effect** and is clearly outside of the domain of validity of Black-Scholes and Merton’s
theory, since the **market is not Gaussian and it is not frictionless and complete**.

In this research training network our aim is to **deeper understand complex (mostly nonlinear)
financial models and to develop effective and robust numerical schemes for solving linear and
nonlinear problems** arising from the mathematical theory of pricing financial derivatives and related
financial products. This aim will be accomplished by means of financial modelling, mathematical
analysis and numerical simulations, optimal control techniques and validation of models.

## Follow Up Events

- ICCF-2017, 2nd International Conference on Computational Finance will take place in Lisbon, Portugal, September 4-8, 2017.
- Workshop Applied Mathematics Techniques for Energy Markets in Transition will take place at the Lorentz Center in Leidenn, the Netherlands, on September 18-22, 2017.

## Public Reports

Deliverable D6.5 is the Public Report on the ITN-STRIKE Project Results: **Public Report** (pdf, 170207).

An overview of all Publications and Presentations was compiled within Deliverable D6.3.2 on Publication and Exploitation: **Publications and Presentations** (pdf, 160731).

Further details on publications are found on the Publications page.

An **Online** general overview is given in

- Z. Bucková, J.P. Campos Moreira da Silva, M. Ehrhardt, M. Günther, E.J.W. ter Maten:
*STRIKE - Novel Methods in Computational Finance - A European mathematical research training network*. IMACM-Report 2014-01, Bergische Universität Wuppertal, 2014.**Online:**ECMI Newsletter 55, pp. 9-12, 2014 (ECMI=European Consortium for Mathematics in Industry).

Each STRIKE Fellow did publish with his/her supervisor(s) an **"A4 report/flyer"** in the **Online** ECMI Newsletter 56, 2014, pp. 71-91:

- Z. Bučková (ESR1), M. Ehrhardt:
*Splitting Methods on Special Meshes*,**Online**ECMI Newsletter 56, 2014, pp. 71-72.

- J.P. Silva (ESR2), E.J.W. ter Maten, M. Günther:
*POD in Option Pricing: Basket Options and Heston Model*,**Online**ECMI Newsletter 56, 2014, pp. 73-74.

- P. Pólvora (ESR3), D. Ševčovič, M. Guerra:
*Pricing Derivatives in Markets with Transaction Costs*,**Online**ECMI Newsletter 56, 2014, pp. 74-75.

- V. Egorova (ESR4), L. Jódar Sánchez, R. Company Rossi:
*FDMs and Transformation Methods for nonlinear BS equations*,**Online**ECMI Newsletter 56, 2014, pp. 76-77.

- W. Mudzimbabwe (ESR5), L. Vulkov:
*Fitted Operator Methods and Special Meshes in Computational Finance*,**Online**ECMI Newsletter 56, 2014, pp. 77-78.

- N. Cantarutti (ESR6), M. do Rosário Grossinho, M. Guerra, J. Guerra:
*Option Pricing in Exponential Lévy Models with Transaction Costs*,**Online**ECMI Newsletter 56, 2014, pp. 79-80.

- I.P. Yamshchikov (ESR7), L.A. Bordag:
*Portfolio Optimization for an Illiquidity Asset with a Random Liquidation Time*,**Online**ECMI Newsletter 56, 2014, pp. 80-81.

- L. Trussardi (ESR8), A. Jüngel:
*Herding Behaviour in Financial Markets*,**Online**ECMI Newsletter 56, 2014, pp. 82-83.

- A. Leitao (ESR9), C.W. Oosterlee:
*GPU Acceleration of the Stochastic Grid Bundling Method*,**Online**ECMI Newsletter 56, 2014, pp. 84-85.

- S.-H. Tan (ESR10), C.-H. Lai:
*Newton-like Method for Nonlinear Option Pricing*,**Online**ECMI Newsletter 56, 2014, pp. 85-86.

- B. Gaviraghi (ESR11), A. Borzì:
*An Operator Splitting Method for Solving a Class of Partial-Integro Fokker-Planck Equations*,**Online**ECMI Newsletter 56, 2014, pp. 87-88.

- R. Valkov (ESR12), K. in ’t Hout:
*ADI time-stepping for the uncertain correlation Black–Scholes PDE*,**Online**ECMI Newsletter 56, 2014, pp. 88-89.

- M. Pou Bueno (ER4), C.W. Oosterlee:
*Pricing and Hedging by Backward Stochastic Differential Equations*,**Online**ECMI Newsletter 56, 2014, pp. 90-91.

## Work Packages - Project Structure

- WP 1: Modelling and Analysis
- WP 2: Numerical Methods for Nonlinear Models
- WP 3: Scientific Computing
- WP 4: Validation and Calibration
- WP 5: Complementary Skills Training
- WP 6: Dissemination and Exploitation
- WP 7: Management